Theres typically an additional module that you must buy/install. According to the install manual on the unit, they recommend a Directed 529T or 530T.
Directed 529T (dei-529t) Window Control Modules
Directed 530T Power Window Automation System - Sonic Electronix
It looks like the 530T is designed to do a bit more than the 529T, more windows and some additional output channels.
From what I've gathered, this is the appropriate wiring diagram for a w201:
If you want to do the sunroof, they recommend the 529T unit.
Here's the install PDF:
http://www.directed.com/guides/manuals/ig/accessories/N530T_1-00.pdf
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